数学物理学报(英文版) ›› 2003, Vol. 23 ›› Issue (1): 124-132.
薛明皋, 李楚霖
XUE Ming-Gao, LI Chu-Lin
摘要:
The paper models the arrival of heterogeneous information during R&D stages
as a doubly stochastic Poisson process(DSPP). The new product market introduction is
considered as a timing option(an American perpetual option). Investment in R&D can be
thought of as option on an option(a compound option). This paper derives an analytic
approximation valuation formula for the R&D option, and demonstrates that the accounts
for heterogeneous information arrival may reduce the pricing biases. This way, the gap
between real option theory and the practice of decision making with respect to investment
in R&D is diminished.
中图分类号: